-
作者：Chabi-Yo, Fousseni; Dim, Chukwuma; Vilkov, Grigory
作者单位：University of Massachusetts System; University of Massachusetts Amherst; Frankfurt School Finance & Management
摘要：We derive generalized bounds on conditional expected excess returns that can be computed from option prices. The generalized lower bound may serve as an expected excess return proxy for individual and basket-type assets, is conditionally tight, accounts for the entire risk-neutral distribution of returns, and outperforms existing variance-based models in out-of-sample predictions. Bounds calibrated to realized returns correspond to reasonable risk aversion and prudence. On average, expected st...
-
作者：Mamadehussene, Samir; Sguera, Francesco
作者单位：University of Texas System; University of Texas Dallas; Universidade Catolica Portuguesa
摘要：The Becker-DeGroot-Marschak (BDM) mechanism is frequently used in experimental research to measure willingness-to-pay (WTP). The mechanism is very appealing given its incentive compatibility property. However, a growing body of experimental evidence finds that WTP is sensitive to the underlying price distribution of the BDM mechanism. The literature suggests that these findings can be rationalized only if subjects have context-dependent preferences. Under context-dependent preferences, the use...
-
作者：Loertscher, Simon; Marx, Leslie M.
作者单位：University of Melbourne; Duke University
摘要：We study a bilateral trade problem with multiunit demand and supply and one-dimensional private information. Each agent geometrically discounts additional units by a constant factor. We show that when goods are complements, the incentive problem measured as the ratio of second-best to first-best social surplus-becomes less severe as the degree of complementarity increases. In contrast, if goods are substitutes and each agent's distribution exhibits linear virtual types, then this ratio is a co...
-
作者：Herpfer, Christoph; Mjos, Aksel; Schmidt, Cornelius
作者单位：Emory University; Norwegian School of Economics (NHH)
摘要：We investigate the role of physical distance in corporate lending by exploiting infrastructure improvements as shocks to travel time. Lower travel time increases the likelihood of initiating a new banking relationship, consistent with an economic surplus from lower transaction costs. In existing lending relationships, banks capture part of this surplus by increasing interest rates, in particular, if banks have higher bargaining power. Reductions in travel time to competing banks have the oppos...
-
作者：Aral, Sinan; Dhillon, Paramveer S.
作者单位：Massachusetts Institute of Technology (MIT); University of Michigan System; University of Michigan
摘要：The strength of weak ties and brokerage theory both rely on the argument that weak bridging ties deliver novel information to create vision advantages for actors in brokerage positions. However, our conceptualization of novelty is itself fundamentally underdeveloped. We, therefore, develop a theory of how three distinct types of novelty-diversity, non-redundancy, and uniqueness-combine with network structure to create vision advantages in social networks. We test this theory using panel data o...
-
作者：Chinco, Alex
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：The limits of arbitrage explain how a speculative bubble is sustained; they do not explain how likely one is to occur. To do that, you need a theory about the thing that sporadically causes arbitrageur constraints to bind. I propose a first such theory, which is based on social interactions between speculators. The theory says that bubbles should be more likely in assets where increases in past returns make excited-speculators relatively more persuasive to their peers. I empirically verify thi...
-
作者：Baron, Opher; Chen, Xiaole; Li, Yang
作者单位：University of Toronto; Sun Yat Sen University; Western University (University of Western Ontario)
摘要：The notion of omnichannel, an integration of brick-and-mortar stores with online channels, has been thriving in recent years and is reforming the traditional service industry. Many service chains, such as Starbucks and McDonald's, established omnichannel capability by allowing customers to order online in advance before visiting stores for pickup. The premise of omnichannel services is that when customers take advantage of the low-cost-of-waiting online channel, both their utility and the prov...
-
作者：Bova, Francesco; Goldfarb, Avi; Melko, Roger G.
作者单位：University of Toronto; Perimeter Institute for Theoretical Physics; University of Waterloo
摘要：A quantum computer exhibits quantum advantage when it can perform a calculation that a classical computer is unable to complete. It follows that a company with a quantum computer would be a monopolist in the market for such a calculation if its only competitor was a company with a classical computer. Conversely, economic outcomes are unclear if quantum computers do not exhibit a quantum advantage, but classical and quantum computers have different cost structures. We model a Cournot duopoly wh...
-
作者：Kim, Soohun; Yoon, Aaron
作者单位：Korea Advanced Institute of Science & Technology (KAIST); Northwestern University
摘要：The United Nations Principles for Responsible Investment (PRI) is the largest global environmental, social, and governance (ESG) initiative in the asset-management industry to date. We analyze what happens after active U.S. mutual funds sign the PRI to assess whether they exhibit ESG implementation. We find that PRI signatories attract a large fund inflow, but we do not observe improvements in fund-level ESG scores or fund returns. We consider a battery of ways to proxy for funds' ESG incorpor...
-
作者：Serra-Garcia, Marta; Szech, Nora
作者单位：University of California System; University of California San Diego; Helmholtz Association; Karlsruhe Institute of Technology
摘要：Willingness to vaccinate and test are critical in the COVID-19 pandemic. We study the effects of two measures to increase the support of vaccination and testing: defaults and monetary compensations. Some organizations, such as restaurants, fire departments, hospitals, or governments in some countries, have used these measures. Yet there is the concern that compensations could erode intrinsic motivation and decrease vaccination intentions. We show that, in the early stages of the pandemic, both...
